Investing in Microfinance: Integrating New Asset Classes into an Asset Allocation Framework Applying Scenario Methodology

Cover......Page 1
Investing in Microfinance......Page 4
ISBN 9783834925671......Page 5
Acknowledgements......Page 6
Brief Contents......Page 8
Table of Contents......Page 10
Abstract......Page 14
Zusammenfassung......Page 15
List of Figures......Page 16
List of Abbreviations......Page 20
1.1 General motivation......Page 23
1.3 Outline......Page 25
2.1 Asset allocation......Page 27
2.2 Portfolio theory......Page 30
2.2.1 Mean-variance concept......Page 31
2.2.2 Shortfall concept......Page 34
2.3 Investors’ utility preference and categorization......Page 38
2.3.1 Private investors......Page 39
2.3.2 Institutional investors......Page 41
2.4 Asset allocation requirements......Page 43
2.5 Summary......Page 44
3.1 Idea of scenario analysis......Page 46
3.2 The scenario process......Page 49
3.3 Critical assessment of the scenario approach......Page 52
3.4 Examples of scenario analyses......Page 55
3.4.1 Scenario analysis “The future of the global financial system”......Page 56
3.4.2 Scenario analysis “European energy security 2020”......Page 59
3.5 Combining scenario approach and asset allocation......Page 63
3.6 Summary......Page 67
4.1.1 Evolution of microfinance......Page 68
4.1.2 Definitions and categories......Page 69
4.2.1 Market overview......Page 71
4.2.2 Microfinance users......Page 73
4.2.3 Microfinance institutions......Page 75
4.2.4 Microfinance investment vehicles......Page 79
4.2.5 Microfinance service providers......Page 82
4.3.1 Current market conditions......Page 84
4.3.2 Impact of financial crisis......Page 87
4.3.3 Market potential......Page 90
4.4.1 Dexia Microcredit Fund......Page 92
4.4.2 responsAbility Global Microfinance Fund......Page 96
4.4.3 Structured products......Page 97
4.4.4 ProCredit Holding......Page 98
4.5 Microfinance investments in an asset allocation framework......Page 99
4.6 Summary......Page 101
5.1.1 Defining the goal......Page 103
5.1.2 Methodology......Page 104
5.1.3 Setup of process......Page 105
5.1.4 Team selection and participants......Page 107
5.2.1.2 Introduction evening......Page 111
5.2.2.1 Impact factors......Page 112
5.2.2.2 Factor projections......Page 113
5.2.2.3 Classification of descriptors......Page 114
5.2.2.4 Scenarios......Page 115
5.2.2.5 Wild card scenario and incidents......Page 124
5.2.3 Workshop II......Page 125
5.2.3.1 Derivation of implications......Page 126
5.2.4.1 Indicators and signposts......Page 132
5.2.4.2 Scenario process feedback......Page 133
5.3.1 Parameters for the asset allocation framework Return estimate......Page 135
5.4 Summary......Page 139
6.1.1 Selection of asset classes and data......Page 141
6.1.2.1 Return estimates......Page 144
6.1.2.2 Risk and correlation parameters......Page 145
6.2 Asset allocation optimization excluding microfinance......Page 150
6.3.1 Optimization with quantitative microfinance parameters......Page 151
6.3.2 Optimization with qualitative microfinance parameters......Page 153
6.4.1 Cross-comparison of portfolios......Page 154
6.4.2 Cross-comparison of portfolio backtests......Page 157
6.4.3 Implications for investors......Page 158
6.5 Summary......Page 160
7.1 Summary of results......Page 162
7.2 Outlook and implications......Page 164
Bibliography......Page 166
Interviews......Page 175
Appendix......Page 176